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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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An alternative option to portfolio rebalancing
Israelov, Roni; Tummala, Harsha - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 7-32
Persistent link: https://www.econbiz.de/10011941325
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A guide to volatility and variance swaps
Demeterfi, Kresimir (contributor) - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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Covered call writing from an exptected utility perspective
Rendleman, Richard J. - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 63-75
Persistent link: https://www.econbiz.de/10001581201
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Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred; Igl, Andreas; Plank, Kilian - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
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Variance reduction for multivariate Monte Carlo simulation
Wang, Jr-yan - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 7-28
Persistent link: https://www.econbiz.de/10003771438
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Variance risk premia in energy commodities
Trolle, Anders B.; Schwartz, Eduardo S. - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 15-32
Persistent link: https://www.econbiz.de/10003961013
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Estimating VaR with order statistics
Dowd, Kevin - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 23-30
Persistent link: https://www.econbiz.de/10001581192
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Evaluating forecasts of correlation using option pricing
Gibson, Michael S.; Boyer, Brian H. - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 18-38
Persistent link: https://www.econbiz.de/10001355577
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Pricing European options on autocorrelated indexes
Jokivuolle, Esa - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 39-52
Persistent link: https://www.econbiz.de/10001355579